SwapRisk

SwapRisk is a robust analytical tool which estimates expected portfolio book yields and income generated by one portfolio composed of prospective sell side bonds to another portfolio composed of prospective buy side bonds, handling up to 50 securities on each side. SwapRisk also allows user to customize leverage transactions with fixed rate borrowings and will accommodate hard to model advances such as convertible FHLB or structured repos.

Features:

• Allows for 7 different interest rate scenarios and customizable time horizons out to 10 years to determine comparative profitability
• Adjusts future book yields for changing reinvestment rates, changing principal cash-flows, changes in coupon on arms, step ups and other floating rate securities, as well as changes in amortization income and accretion expense
• Forecasts principal cash-flows for each portfolio under 7 scenarios over 10 years
• Estimates break even months for all bonds and under all rate scenarios
• Works in a highly efficient manner with BondRisk so as to streamline what is often a very time consuming trial and error process
• Proven an effective tool for providing comprehensive investment analysis to clients and increasing dealer revenue